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基于2000-2014年月度频率数据,运用VEC模型、Granger因果关系检验及三元BEKK-GARCH(1,1)模型,从能源化视角探讨国内外两个不同空间层面上的食糖市场彼此之间的价格溢出效应,解析效应类型、作用程度及方向。实证结果表明:就均值溢出效应而言,国内外糖市及能源市场两两之间存在显著的单向均值溢出,且国内外糖市各自与能源市场间的均值溢出要强于国内外糖市之间的效应;就波动溢出效应而言,国内外糖市与能源市场受自身前期价格波动的影响均较大,两两之间也都呈现出显著波动溢出,单双向关系与效应类型不尽相同。在单双向关系方面,能源价格与国际或国内糖价间存在双向波动溢出,国际糖价对国内糖价为单向波动溢出;在效应类型方面,除能源市场对国际糖市仅表现出ARCH型,后者对前者仅为GARCH型,其余价格对自身及彼此之间的波动溢出效应均表现出ARCH与GARCH型兼具的特性。
Based on the monthly frequency data from 2000 to 2014, using the VEC model, the Granger causality test and the ternary BEKK-GARCH (1,1) model, the sugar markets at two different spatial levels in China and abroad are explored from the energy perspective Price spillover effect, analytic effect type, effect degree and direction The empirical results show that there is a significant one-way mean spillover between domestic and international sugar markets and energy markets in terms of the mean spillover effect, and the mean spillover between the domestic and international sugar markets and the energy markets is stronger than the domestic and international sugar markets In terms of the volatility spillover effect, both the domestic and international sugar markets and energy markets are greatly affected by the price volatility in their previous periods, and each of them shows significant fluctuations and overflows. The types of single and two-way relationships and effects are not the same . In terms of the one-way relationship, there is a two-way volatility between energy prices and international or domestic sugar prices. The international sugar prices fluctuate unidirectionally over the domestic sugar prices. In terms of the types of effects, except for the energy market, which shows only ARCH types for the international sugar market , The latter is only GARCH type for the former, the volatility spillover effect of the remaining prices on itself and each other shows both ARCH and GARCH-type characteristics.